Spectral densities of Wishart-Lévy free stable random matrices

DOI10.1140/EPJB/E2009-00360-7zbMATH Open1188.15038arXiv0903.1629OpenAlexW4298057561MaRDI QIDQ977577FDOQ977577

Mauro Politi, Guido Germano, Daniel Fulger, Enrico Scalas

Publication date: 22 June 2010

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Abstract: Random matrix theory is used to assess the significance of weak correlations and is well established for Gaussian statistics. However, many complex systems, with stock markets as a prominent example, exhibit statistics with power-law tails, that can be modelled with Levy stable distributions. We review comprehensively the derivation of an analytical expression for the spectra of covariance matrices approximated by free Levy stable random variables and validate it by Monte Carlo simulation.

Full work available at URL: https://arxiv.org/abs/0903.1629

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Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52)

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Cited In (3)

• Three-dimensional Gaussian fluctuations of spectra of overlapping stochastic Wishart matrices
• Random matrix models for datasets with fixed time horizons
• Level Statistics and Localization Transitions of Lévy Matrices

Uses Software

• plfit

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